import quandl
import pandas as pd
from matplotlib import pyplot as plt
import requests
import statsmodels.tsa.stattools as ts
from statsmodels.tsa.vector_ar.vecm import coint_johansen
import scipy.stats as st
from numpy_ext import rolling_apply # multipler parameters
import numpy as np
import warnings
warnings.filterwarnings("ignore")
symbols = pd.read_csv(f"/Users/jochien/Documents/MaxRereach/strategy/crypto_ohlc_day/symbols.csv").symbol.tolist()
df = ((pd.concat([pd.read_csv(f"/Users/jochien/Documents/MaxRereach/strategy/crypto_ohlc_day/{symbol}.csv", index_col='date', parse_dates=True)
['close'].rename(symbol)for symbol in symbols],axis=1,sort=True)))
df = df.loc[:,~df.columns.duplicated()]
df.head()
| BTCUSDT | ETHUSDT | BNBUSDT | NEOUSDT | LTCUSDT | QTUMUSDT | ADAUSDT | XRPUSDT | EOSUSDT | ONEUSDT | ... | ZECUSDT | IOSTUSDT | CELRUSDT | DASHUSDT | OMGUSDT | THETAUSDT | ENJUSDT | MITHUSDT | MATICUSDT | ATOMUSDT | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| date | |||||||||||||||||||||
| 2020-01-01 | 7200.85 | 130.77 | 13.7184 | 8.850 | 41.62 | 1.603 | 0.03348 | 0.19305 | 2.6039 | 0.00466 | ... | 28.07 | 0.004817 | 0.00362 | 41.84 | 0.6214 | 0.08656 | 0.07963 | 0.00757 | 0.01496 | 4.380 |
| 2020-01-02 | 6965.71 | 127.19 | 13.0105 | 8.462 | 39.43 | 1.533 | 0.03269 | 0.18750 | 2.4593 | 0.00470 | ... | 27.02 | 0.004605 | 0.00340 | 40.04 | 0.5950 | 0.08443 | 0.07371 | 0.00699 | 0.01467 | 4.096 |
| 2020-01-03 | 7344.96 | 134.35 | 13.6474 | 8.888 | 42.23 | 1.629 | 0.03417 | 0.19338 | 2.6396 | 0.00478 | ... | 28.41 | 0.004819 | 0.00355 | 43.92 | 0.6248 | 0.08771 | 0.07800 | 0.00739 | 0.01512 | 4.237 |
| 2020-01-04 | 7354.11 | 134.20 | 13.8092 | 9.077 | 42.78 | 1.642 | 0.03434 | 0.19305 | 2.6481 | 0.00475 | ... | 29.91 | 0.004869 | 0.00355 | 46.19 | 0.6246 | 0.09394 | 0.07720 | 0.00728 | 0.01484 | 4.250 |
| 2020-01-05 | 7358.75 | 135.37 | 14.0532 | 9.020 | 43.30 | 1.631 | 0.03460 | 0.19453 | 2.6865 | 0.00466 | ... | 30.81 | 0.004916 | 0.00349 | 51.17 | 0.6367 | 0.09421 | 0.07637 | 0.00734 | 0.01483 | 4.200 |
5 rows × 38 columns
norm_prices = df.divide(df.iloc[0])
plt.figure(figsize = (15, 10))
plt.plot(norm_prices)
plt.xlabel('days')
plt.title('Performance of cryptocurrencies')
plt.legend(symbols)
plt.show()
result_list = []
for a1 in df.columns:
for a2 in df.columns:
if a1 != a2:
test_result = ts.coint(df[a1], df[a2])
if test_result[1] < 0.05:
print(a1 + ' and ' + a2 + ': p-value = ' + str(test_result[1]))
result_list.append((a1, a2, test_result[1]))
ETHUSDT and BNBUSDT: p-value = 0.03979705332444582 ETHUSDT and FETUSDT: p-value = 0.009294446232473275 ETHUSDT and ATOMUSDT: p-value = 0.023721913440312683 BNBUSDT and ETHUSDT: p-value = 0.04184327180902625 BNBUSDT and ONEUSDT: p-value = 0.017484822695047326 BNBUSDT and TFUELUSDT: p-value = 0.03356023967788704 BNBUSDT and ONGUSDT: p-value = 0.017847752585666694 BNBUSDT and HOTUSDT: p-value = 0.03491978636054913 BNBUSDT and FETUSDT: p-value = 0.04605206033659679 BNBUSDT and CELRUSDT: p-value = 0.018390725167988196 BNBUSDT and ENJUSDT: p-value = 0.02378173173397498 BNBUSDT and MATICUSDT: p-value = 0.038107528953613565 NEOUSDT and TFUELUSDT: p-value = 0.0001684619737509815 NEOUSDT and HOTUSDT: p-value = 0.018482944552887164 NEOUSDT and ZILUSDT: p-value = 0.025957842103161946 NEOUSDT and THETAUSDT: p-value = 2.6834950126713157e-07 LTCUSDT and BTCUSDT: p-value = 0.03861984946462687 LTCUSDT and IOTAUSDT: p-value = 0.0190484896026411 LTCUSDT and XLMUSDT: p-value = 0.00039515054718914565 LTCUSDT and LINKUSDT: p-value = 0.023626770115257142 LTCUSDT and HOTUSDT: p-value = 0.02270910710538569 LTCUSDT and DASHUSDT: p-value = 0.037130944648229205 LTCUSDT and THETAUSDT: p-value = 0.0049038902107652535 QTUMUSDT and XRPUSDT: p-value = 0.002068743693094537 QTUMUSDT and IOTAUSDT: p-value = 0.039439864713502595 QTUMUSDT and TRXUSDT: p-value = 0.0009494412427422837 QTUMUSDT and VETUSDT: p-value = 5.750227045449944e-07 QTUMUSDT and TFUELUSDT: p-value = 0.0026478830807722363 QTUMUSDT and ONGUSDT: p-value = 0.011115515789367385 QTUMUSDT and HOTUSDT: p-value = 0.005188872840633854 QTUMUSDT and FETUSDT: p-value = 0.02951079586175383 QTUMUSDT and IOSTUSDT: p-value = 0.022130442055890796 QTUMUSDT and THETAUSDT: p-value = 0.024360651013119284 QTUMUSDT and MITHUSDT: p-value = 0.027273624370269516 ADAUSDT and XRPUSDT: p-value = 0.01971460129509219 ADAUSDT and TRXUSDT: p-value = 0.02139791637103016 ADAUSDT and ETCUSDT: p-value = 0.03118277971751873 ADAUSDT and TFUELUSDT: p-value = 0.027996314636212844 ADAUSDT and WAVESUSDT: p-value = 0.0013823147822238965 ADAUSDT and ONGUSDT: p-value = 0.016643063312515333 ADAUSDT and FETUSDT: p-value = 0.030067423675781437 XRPUSDT and ETHUSDT: p-value = 0.02806745065597914 XRPUSDT and QTUMUSDT: p-value = 0.0019710604550154083 XRPUSDT and ADAUSDT: p-value = 0.0036084920210760424 XRPUSDT and TRXUSDT: p-value = 0.018731069225657326 XRPUSDT and ETCUSDT: p-value = 0.0004999416610815064 XRPUSDT and VETUSDT: p-value = 0.005430641191097184 XRPUSDT and TFUELUSDT: p-value = 0.000266862309213268 XRPUSDT and WAVESUSDT: p-value = 0.00017691577044526874 XRPUSDT and ONGUSDT: p-value = 0.0006468358243263375 XRPUSDT and HOTUSDT: p-value = 0.0012997328944727162 XRPUSDT and FETUSDT: p-value = 0.00988895178131794 XRPUSDT and IOSTUSDT: p-value = 0.02642596059284993 XRPUSDT and CELRUSDT: p-value = 0.028846465286064105 XRPUSDT and OMGUSDT: p-value = 0.04074986299658593 XRPUSDT and THETAUSDT: p-value = 0.02785341862538615 EOSUSDT and NEOUSDT: p-value = 0.02300261222562835 EOSUSDT and DASHUSDT: p-value = 0.008918973028747761 EOSUSDT and THETAUSDT: p-value = 0.00794462771128663 EOSUSDT and MITHUSDT: p-value = 0.0035939507098718742 ONEUSDT and ETHUSDT: p-value = 0.016386947078835534 ONEUSDT and BNBUSDT: p-value = 0.013842476445799378 ONEUSDT and CELRUSDT: p-value = 0.025676002111995933 ONEUSDT and MATICUSDT: p-value = 0.01227388094164617 ONEUSDT and ATOMUSDT: p-value = 0.034590560428888924 IOTAUSDT and LTCUSDT: p-value = 0.020450499774643312 IOTAUSDT and TFUELUSDT: p-value = 0.016968931820513032 IOTAUSDT and ONGUSDT: p-value = 0.020319254508973095 IOTAUSDT and HOTUSDT: p-value = 0.012918829485636453 IOTAUSDT and XMRUSDT: p-value = 0.031186936037464214 IOTAUSDT and THETAUSDT: p-value = 0.00023161317442586406 IOTAUSDT and MITHUSDT: p-value = 0.00046585243555272805 XLMUSDT and LTCUSDT: p-value = 0.000530375582526246 XLMUSDT and ICXUSDT: p-value = 0.029161638109932983 XLMUSDT and ZILUSDT: p-value = 5.1735603272510206e-05 XLMUSDT and ZRXUSDT: p-value = 0.015376717606141848 XLMUSDT and XMRUSDT: p-value = 0.0371458828413033 XLMUSDT and IOSTUSDT: p-value = 0.028168787701555037 ONTUSDT and NEOUSDT: p-value = 0.015141615798510165 ONTUSDT and THETAUSDT: p-value = 0.01971451562626341 TRXUSDT and QTUMUSDT: p-value = 0.002180642641601732 TRXUSDT and ADAUSDT: p-value = 0.014047236690837638 TRXUSDT and XRPUSDT: p-value = 0.013355537409024463 TRXUSDT and ETCUSDT: p-value = 0.018400040702454122 TRXUSDT and VETUSDT: p-value = 0.0011627879858808166 TRXUSDT and TFUELUSDT: p-value = 0.0009931243119925698 TRXUSDT and WAVESUSDT: p-value = 0.010849167849631993 TRXUSDT and ONGUSDT: p-value = 0.0016971855821476937 TRXUSDT and HOTUSDT: p-value = 0.003285710969613443 TRXUSDT and FETUSDT: p-value = 0.011279869928940265 TRXUSDT and THETAUSDT: p-value = 0.02849186093588092 TRXUSDT and ENJUSDT: p-value = 0.016436505557937995 ETCUSDT and BNBUSDT: p-value = 0.033307001527587234 ETCUSDT and QTUMUSDT: p-value = 0.042857265925234346 ETCUSDT and ADAUSDT: p-value = 0.009735199226188181 ETCUSDT and XRPUSDT: p-value = 0.00044189259423252076 ETCUSDT and TRXUSDT: p-value = 0.005326481442434043 ETCUSDT and VETUSDT: p-value = 0.03210050300454629 ETCUSDT and TFUELUSDT: p-value = 1.6225614032420384e-05 ETCUSDT and HOTUSDT: p-value = 0.01701030059809722 ETCUSDT and FETUSDT: p-value = 0.049332528328750944 ETCUSDT and IOSTUSDT: p-value = 0.04493395969921926 ETCUSDT and THETAUSDT: p-value = 0.009644588165549044 ICXUSDT and IOTAUSDT: p-value = 0.0021141493052993024 ICXUSDT and XLMUSDT: p-value = 0.03124387696685143 ICXUSDT and VETUSDT: p-value = 0.009620508665866516 ICXUSDT and LINKUSDT: p-value = 0.01900257419831678 ICXUSDT and ZECUSDT: p-value = 0.016525594953041196 ICXUSDT and IOSTUSDT: p-value = 4.333426171802822e-05 ICXUSDT and DASHUSDT: p-value = 0.010147255559131553 ICXUSDT and MITHUSDT: p-value = 0.04598180770812542 NULSUSDT and NEOUSDT: p-value = 0.03199478424999355 NULSUSDT and LTCUSDT: p-value = 0.01462957789086122 NULSUSDT and IOTAUSDT: p-value = 0.04299969987944286 NULSUSDT and ONTUSDT: p-value = 0.03196111137022372 NULSUSDT and ICXUSDT: p-value = 0.039013693467249255 NULSUSDT and LINKUSDT: p-value = 0.012186422287252264 NULSUSDT and HOTUSDT: p-value = 0.031933895472867214 NULSUSDT and ZILUSDT: p-value = 0.03810457583402707 NULSUSDT and ZRXUSDT: p-value = 0.017982329720730356 NULSUSDT and ZECUSDT: p-value = 0.013198924080022599 NULSUSDT and DASHUSDT: p-value = 0.008282489877116538 VETUSDT and QTUMUSDT: p-value = 0.0019745343862183785 VETUSDT and ADAUSDT: p-value = 0.030800490096153505 VETUSDT and XRPUSDT: p-value = 0.007265922030648865 VETUSDT and TRXUSDT: p-value = 0.0012923958119772875 VETUSDT and ETCUSDT: p-value = 0.041571718418544124 VETUSDT and ICXUSDT: p-value = 0.014213652681690685 VETUSDT and TFUELUSDT: p-value = 0.00037368781868384716 VETUSDT and WAVESUSDT: p-value = 0.017454325829749862 VETUSDT and ONGUSDT: p-value = 0.00038211443395383437 VETUSDT and HOTUSDT: p-value = 0.0014140935811313164 VETUSDT and FETUSDT: p-value = 0.029590043977176704 VETUSDT and IOSTUSDT: p-value = 0.02000904322060722 VETUSDT and THETAUSDT: p-value = 0.002675175469179483 TFUELUSDT and BNBUSDT: p-value = 0.023709036529644373 TFUELUSDT and NEOUSDT: p-value = 0.0015988439647281493 TFUELUSDT and QTUMUSDT: p-value = 0.003811340716264895 TFUELUSDT and ADAUSDT: p-value = 0.030558404986872588 TFUELUSDT and XRPUSDT: p-value = 0.0008218736395146644 TFUELUSDT and IOTAUSDT: p-value = 0.011373951732491287 TFUELUSDT and TRXUSDT: p-value = 0.0014814852625577896 TFUELUSDT and ETCUSDT: p-value = 3.48110821022861e-05 TFUELUSDT and VETUSDT: p-value = 0.0012709981794564874 TFUELUSDT and WAVESUSDT: p-value = 0.001676723850093006 TFUELUSDT and ONGUSDT: p-value = 0.049166962889754216 TFUELUSDT and HOTUSDT: p-value = 0.04635174538159009 TFUELUSDT and XMRUSDT: p-value = 2.767187468129218e-05 TFUELUSDT and IOSTUSDT: p-value = 0.014749903506887959 TFUELUSDT and MITHUSDT: p-value = 0.014252555929897753 LINKUSDT and LTCUSDT: p-value = 0.020791074189353106 LINKUSDT and ICXUSDT: p-value = 0.012498643109715098 LINKUSDT and TFUELUSDT: p-value = 0.029125983830526773 LINKUSDT and ZRXUSDT: p-value = 0.0037418617731369065 WAVESUSDT and ADAUSDT: p-value = 0.0005193115567310744 WAVESUSDT and XRPUSDT: p-value = 0.0004803640959424218 WAVESUSDT and TRXUSDT: p-value = 0.01116972877720734 WAVESUSDT and VETUSDT: p-value = 0.015683923691441275 WAVESUSDT and TFUELUSDT: p-value = 0.001632307403118933 WAVESUSDT and ONGUSDT: p-value = 8.897822036597178e-05 WAVESUSDT and HOTUSDT: p-value = 0.006923414180555478 WAVESUSDT and FETUSDT: p-value = 0.0023848624756069073 WAVESUSDT and OMGUSDT: p-value = 0.042239187944367554 WAVESUSDT and THETAUSDT: p-value = 0.01907919031528317 ONGUSDT and ETHUSDT: p-value = 0.03418164222454803 ONGUSDT and BNBUSDT: p-value = 0.009574291195622732 ONGUSDT and QTUMUSDT: p-value = 0.022383863688809253 ONGUSDT and ADAUSDT: p-value = 0.009979372077112915 ONGUSDT and XRPUSDT: p-value = 0.005212552926376681 ONGUSDT and IOTAUSDT: p-value = 0.03279373127168058 ONGUSDT and TRXUSDT: p-value = 0.0018682625614575505 ONGUSDT and VETUSDT: p-value = 0.0014384162716002712 ONGUSDT and TFUELUSDT: p-value = 0.03851453444051624 ONGUSDT and WAVESUSDT: p-value = 0.00010944247282061185 ONGUSDT and HOTUSDT: p-value = 0.009880407045162276 ONGUSDT and FETUSDT: p-value = 0.0045138275361298035 ONGUSDT and ZECUSDT: p-value = 0.02512339216332203 ONGUSDT and IOSTUSDT: p-value = 0.04043581713586318 ONGUSDT and CELRUSDT: p-value = 0.02844544484061402 ONGUSDT and MITHUSDT: p-value = 0.014162854729723342 HOTUSDT and BNBUSDT: p-value = 0.005642443124151487 HOTUSDT and NEOUSDT: p-value = 0.010630349342222182 HOTUSDT and LTCUSDT: p-value = 0.028049883657917676 HOTUSDT and QTUMUSDT: p-value = 0.004187775851361762 HOTUSDT and ADAUSDT: p-value = 0.04540138723007128 HOTUSDT and XRPUSDT: p-value = 0.0009757359606236487 HOTUSDT and IOTAUSDT: p-value = 0.0004136196613687415 HOTUSDT and TRXUSDT: p-value = 0.002946582581370088 HOTUSDT and ETCUSDT: p-value = 0.023038088772145297 HOTUSDT and ICXUSDT: p-value = 0.02815373460464014 HOTUSDT and VETUSDT: p-value = 0.0004418611937400664 HOTUSDT and TFUELUSDT: p-value = 0.002736882181956781 HOTUSDT and WAVESUSDT: p-value = 0.002027025743238205 HOTUSDT and ONGUSDT: p-value = 0.002074399058452013 HOTUSDT and FETUSDT: p-value = 0.01381952176987598 HOTUSDT and XMRUSDT: p-value = 0.014738580578817521 HOTUSDT and ZECUSDT: p-value = 0.0031239795248804705 HOTUSDT and IOSTUSDT: p-value = 0.0021314815399895225 HOTUSDT and CELRUSDT: p-value = 0.022075735889754845 HOTUSDT and DASHUSDT: p-value = 0.008232886215015753 HOTUSDT and MITHUSDT: p-value = 7.936713044609909e-05 ZILUSDT and XLMUSDT: p-value = 7.672489711426052e-05 ZILUSDT and ZRXUSDT: p-value = 0.008057535481196766 ZILUSDT and DASHUSDT: p-value = 0.007673206504380555 ZRXUSDT and LTCUSDT: p-value = 0.031516847170026396 ZRXUSDT and IOTAUSDT: p-value = 0.008465189227427044 ZRXUSDT and XLMUSDT: p-value = 0.00038129060359230353 ZRXUSDT and NULSUSDT: p-value = 0.043684521215911605 ZRXUSDT and LINKUSDT: p-value = 0.004383454184476032 ZRXUSDT and ZILUSDT: p-value = 0.003984691668472593 ZRXUSDT and ZECUSDT: p-value = 0.04013312075248554 ZRXUSDT and DASHUSDT: p-value = 0.008625046213794639 FETUSDT and ETHUSDT: p-value = 0.0032540805292548022 FETUSDT and BNBUSDT: p-value = 0.01992014511527302 FETUSDT and QTUMUSDT: p-value = 0.03268987781990293 FETUSDT and ADAUSDT: p-value = 0.024321064051513113 FETUSDT and XRPUSDT: p-value = 0.018234422106845477 FETUSDT and TRXUSDT: p-value = 0.015630921797615792 FETUSDT and WAVESUSDT: p-value = 0.006153384549637882 FETUSDT and ONGUSDT: p-value = 0.00555368198429992 FETUSDT and HOTUSDT: p-value = 0.020139040359795895 FETUSDT and IOSTUSDT: p-value = 0.04434214650084845 FETUSDT and CELRUSDT: p-value = 0.03697809747917137 FETUSDT and OMGUSDT: p-value = 0.011542995984806417 FETUSDT and ATOMUSDT: p-value = 0.02747836420947689 BATUSDT and ENJUSDT: p-value = 0.017435534549406308 BATUSDT and ATOMUSDT: p-value = 0.04449409632942167 XMRUSDT and XLMUSDT: p-value = 0.032513155386996145 XMRUSDT and TFUELUSDT: p-value = 1.44519172772976e-05 XMRUSDT and ONGUSDT: p-value = 0.04662464521834138 XMRUSDT and HOTUSDT: p-value = 0.019729559931751548 XMRUSDT and THETAUSDT: p-value = 2.5593766382916506e-05 ZECUSDT and BTCUSDT: p-value = 0.02118435308769799 ZECUSDT and IOTAUSDT: p-value = 0.019511789459702455 ZECUSDT and TRXUSDT: p-value = 0.014622540412255244 ZECUSDT and ICXUSDT: p-value = 0.005893545239016798 ZECUSDT and NULSUSDT: p-value = 0.01731089414458054 ZECUSDT and VETUSDT: p-value = 0.0009057802145932459 ZECUSDT and TFUELUSDT: p-value = 0.024211653945636184 ZECUSDT and LINKUSDT: p-value = 0.0074150334632557624 ZECUSDT and ONGUSDT: p-value = 0.008515691267672766 ZECUSDT and HOTUSDT: p-value = 0.005912789318584449 ZECUSDT and ZRXUSDT: p-value = 0.018646891956238584 ZECUSDT and FETUSDT: p-value = 0.030155933947969366 ZECUSDT and XMRUSDT: p-value = 0.0178992454749315 ZECUSDT and THETAUSDT: p-value = 0.0036950575034267103 ZECUSDT and ENJUSDT: p-value = 0.018319786209498715 ZECUSDT and MITHUSDT: p-value = 0.02839592276194733 IOSTUSDT and QTUMUSDT: p-value = 0.020741865406909834 IOSTUSDT and XRPUSDT: p-value = 0.03905988270154119 IOSTUSDT and TRXUSDT: p-value = 0.026746727452408196 IOSTUSDT and ICXUSDT: p-value = 4.5223158669257086e-05 IOSTUSDT and VETUSDT: p-value = 0.026665228122729524 IOSTUSDT and TFUELUSDT: p-value = 0.02236192125267704 IOSTUSDT and ONGUSDT: p-value = 0.02570579932640748 IOSTUSDT and HOTUSDT: p-value = 0.007756516815858741 IOSTUSDT and THETAUSDT: p-value = 0.017439356894968703 CELRUSDT and ETHUSDT: p-value = 0.007872740648016813 CELRUSDT and BNBUSDT: p-value = 0.022548498815544906 CELRUSDT and ADAUSDT: p-value = 0.016611088524813914 CELRUSDT and ONEUSDT: p-value = 0.011402486757236402 CELRUSDT and ONGUSDT: p-value = 0.0325017879087498 CELRUSDT and FETUSDT: p-value = 0.022428194264663796 CELRUSDT and MATICUSDT: p-value = 0.008894583640021724 DASHUSDT and NEOUSDT: p-value = 0.0034063178504338313 DASHUSDT and LTCUSDT: p-value = 0.01203256376561881 DASHUSDT and EOSUSDT: p-value = 0.03219891639406372 DASHUSDT and XLMUSDT: p-value = 0.0008760793208605381 DASHUSDT and ICXUSDT: p-value = 0.004660120960575425 DASHUSDT and TFUELUSDT: p-value = 0.009746282146598223 DASHUSDT and LINKUSDT: p-value = 0.03058175363018977 DASHUSDT and HOTUSDT: p-value = 0.005899775713372347 DASHUSDT and ZILUSDT: p-value = 0.0011692866606455969 DASHUSDT and ZRXUSDT: p-value = 0.003098448835333505 DASHUSDT and IOSTUSDT: p-value = 0.008410923120450449 DASHUSDT and THETAUSDT: p-value = 5.7387057186007053e-05 DASHUSDT and MITHUSDT: p-value = 0.001154620227422098 OMGUSDT and ADAUSDT: p-value = 0.0403137300498529 OMGUSDT and ONEUSDT: p-value = 0.034217304549699096 OMGUSDT and WAVESUSDT: p-value = 0.0159006491262657 OMGUSDT and ONGUSDT: p-value = 0.02613794312190117 OMGUSDT and FETUSDT: p-value = 0.006276735020553407 OMGUSDT and ATOMUSDT: p-value = 0.04117968634950019 THETAUSDT and NEOUSDT: p-value = 3.410227932342851e-05 THETAUSDT and LTCUSDT: p-value = 0.012873435923293479 THETAUSDT and IOTAUSDT: p-value = 0.009828165241064314 THETAUSDT and XLMUSDT: p-value = 0.04973710797738839 THETAUSDT and TRXUSDT: p-value = 0.02635312749124799 THETAUSDT and ETCUSDT: p-value = 0.014946143508758482 THETAUSDT and VETUSDT: p-value = 0.0068997841316382515 THETAUSDT and WAVESUSDT: p-value = 0.024540063212832443 THETAUSDT and XMRUSDT: p-value = 3.672116590972747e-05 THETAUSDT and ZECUSDT: p-value = 0.010937393436062776 THETAUSDT and IOSTUSDT: p-value = 0.025285293539470566 THETAUSDT and DASHUSDT: p-value = 0.001011657735274626 THETAUSDT and MITHUSDT: p-value = 0.0034052294728844617 ENJUSDT and BNBUSDT: p-value = 0.007368156045778439 ENJUSDT and TRXUSDT: p-value = 0.024526932084486277 ENJUSDT and BATUSDT: p-value = 0.015697920396787555 ENJUSDT and ATOMUSDT: p-value = 0.01708886115936236 MITHUSDT and NEOUSDT: p-value = 0.04370076433897979 MITHUSDT and LTCUSDT: p-value = 0.008220798149492028 MITHUSDT and QTUMUSDT: p-value = 0.02329300761051094 MITHUSDT and IOTAUSDT: p-value = 0.00019474635959132236 MITHUSDT and ICXUSDT: p-value = 0.005245557903459309 MITHUSDT and VETUSDT: p-value = 0.02553451517053841 MITHUSDT and TFUELUSDT: p-value = 0.010239219755688998 MITHUSDT and ONGUSDT: p-value = 0.0042719837713634185 MITHUSDT and HOTUSDT: p-value = 3.5334849552023433e-05 MITHUSDT and BATUSDT: p-value = 0.014806455888968166 MITHUSDT and ZECUSDT: p-value = 0.032383828576708566 MITHUSDT and DASHUSDT: p-value = 0.006560933853022412 MITHUSDT and THETAUSDT: p-value = 0.0006217928037544199 MATICUSDT and BNBUSDT: p-value = 0.03431794557039632 MATICUSDT and ONEUSDT: p-value = 0.03274629846865262 MATICUSDT and CELRUSDT: p-value = 0.03781541470290243 ATOMUSDT and ETHUSDT: p-value = 0.014003139677686655 ATOMUSDT and ONEUSDT: p-value = 0.0030698077520654433 ATOMUSDT and FETUSDT: p-value = 0.03033057537430436 ATOMUSDT and BATUSDT: p-value = 0.023245696792688585 ATOMUSDT and CELRUSDT: p-value = 0.01721653317572078 ATOMUSDT and ENJUSDT: p-value = 0.0074358629487091725
import statsmodels.formula.api as sm
import statsmodels.tsa.stattools as ts
def z_score(yport):
zscore = (yport[-1] - yport.mean()) / yport.std()
return zscore
def forwardStopLoss(ANewPrice, BNewPrice, aPos, bPos):
"""(0,2)"""
pass
def backwardStopLoss(ANewPrice, BNewPrice, aPos, bPos):
"""(0,-2)"""
pass
def stopLossForward(ANewPrice, BNewPrice, aPos, bPos):
"""(2, 0)"""
pass
def stopLossBackward(ANewPrice, BNewPrice, aPos, bPos):
"""(-2, 0)"""
pass
def backwardForward(ANewPrice, BNewPrice, aPos, bPos):
"""(-2, 2)"""
pass
def forwardBackward(ANewPrice, BNewPrice, aPos, bPos):
"""(2, -2)"""
pass
def forwardBackwardEntry(ANewPrice, BNewPrice, aPos, bPos):
"""(2, -1)"""
balanceDict['A']['available'] -= ANewPrice * abs(aPos)
balanceDict['A']['position'] += aPos
balanceDict['B']['available'] -= BNewPrice * abs(bPos)
balanceDict['B']['position'] += -(bPos * aPos)
def backwardForwardEntry(ANewPrice, BNewPrice, aPos, bPos):
"""(-2, 1)"""
balanceDict['A']['available'] -= ANewPrice * abs(aPos)
balanceDict['A']['position'] += aPos
balanceDict['B']['available'] -= BNewPrice * abs(bPos)
balanceDict['B']['position'] += -(bPos * aPos)
def forwardStopLossEntry(ANewPrice, BNewPrice, aPos, bPos):
"""(2,1)"""
balanceDict['A']['available'] -= ANewPrice * abs(aPos)
balanceDict['A']['position'] += aPos
balanceDict['B']['available'] -= BNewPrice * abs(bPos)
balanceDict['B']['position'] += -(bPos * aPos)
def backwardStopLossEntry(ANewPrice, BNewPrice, aPos, bPos):
"""(-2,-1)"""
balanceDict['A']['available'] -= ANewPrice * abs(aPos)
balanceDict['A']['position'] += aPos
balanceDict['B']['available'] -= BNewPrice * abs(bPos)
balanceDict['B']['position'] += -(bPos * aPos)
def forwardEntryToStopLoss(ANewPrice, BNewPrice, aPos, bPos):
"""(1, 2)"""
aPos = aPos/stopLoss
balanceDict['A']['available'] += balanceDict['A']['position'] * (ANewPrice - AOldOrderPrice + AOldOrderPrice)
balanceDict['A']['position'] -= balanceDict['A']['position']
balanceDict['B']['available'] += abs(balanceDict['B']['position']) * (BOldOrderPrice - BNewPrice + BOldOrderPrice)
balanceDict['B']['position'] -= balanceDict['B']['position']
def backwardEntryToStopLoss(ANewPrice, BNewPrice, aPos, bPos):
"""(-1,-2)"""
aPos = aPos/stopLoss
balanceDict['A']['available'] += abs(balanceDict['A']['position']) * (AOldOrderPrice - ANewPrice + AOldOrderPrice)
balanceDict['A']['position'] -= balanceDict['A']['position']
balanceDict['B']['available'] += balanceDict['B']['position'] * (BNewPrice - BOldOrderPrice + BOldOrderPrice)
balanceDict['B']['position'] -= balanceDict['B']['position']
def upToOut(ANewPrice, BNewPrice, aPos, bPos):
"""
statusList = (1,0)
long A short B
"""
balanceDict['A']['available'] += balanceDict['A']['position'] * (ANewPrice - AOldOrderPrice + AOldOrderPrice)
balanceDict['A']['position'] -= balanceDict['A']['position']
balanceDict['B']['available'] += abs(balanceDict['B']['position']) * (BOldOrderPrice - BNewPrice + BOldOrderPrice)
balanceDict['B']['position'] -= balanceDict['B']['position']
def upToDown(ANewPrice, BNewPrice, aPos, bPos):
"""
statusList = (1,-1)
"""
balanceDict['A']['available'] += balanceDict['A']['position'] * (ANewPrice - AOldOrderPrice + AOldOrderPrice)
balanceDict['A']['position'] -= balanceDict['A']['position']
balanceDict['B']['available'] += abs(balanceDict['B']['position']) * (BOldOrderPrice - BNewPrice + BOldOrderPrice)
balanceDict['B']['position'] -= balanceDict['B']['position']
balanceDict['A']['available'] -= ANewPrice * abs(aPos)
balanceDict['A']['position'] += aPos
balanceDict['B']['available'] -= BNewPrice * abs(bPos)
balanceDict['B']['position'] += -(bPos * aPos)
def outToUp(ANewPrice, BNewPrice, aPos, bPos):
"""
statusList = (0,1)
"""
balanceDict['A']['available'] -= ANewPrice * abs(aPos)
balanceDict['A']['position'] += aPos
balanceDict['B']['available'] -= BNewPrice * abs(bPos)
balanceDict['B']['position'] += -(bPos * aPos)
def outToDown(ANewPrice, BNewPrice, aPos, bPos):
"""
statusList = (0,-1)
"""
balanceDict['A']['available'] -= ANewPrice * abs(aPos)
balanceDict['A']['position'] += aPos
balanceDict['B']['available'] -= BNewPrice * abs(bPos)
balanceDict['B']['position'] += -(bPos * aPos)
def downToOut(ANewPrice, BNewPrice, aPos, bPos):
"""
statusList = (-1,0)
"""
balanceDict['A']['available'] += abs(balanceDict['A']['position']) * (AOldOrderPrice - ANewPrice + AOldOrderPrice)
balanceDict['A']['position'] -= balanceDict['A']['position']
balanceDict['B']['available'] += balanceDict['B']['position'] * (BNewPrice - BOldOrderPrice + BOldOrderPrice)
balanceDict['B']['position'] -= balanceDict['B']['position']
def downToUp(ANewPrice, BNewPrice, aPos, bPos):
"""
statusList = (-1,1)
"""
balanceDict['A']['available'] += abs(balanceDict['A']['position']) * (AOldOrderPrice - ANewPrice + AOldOrderPrice)
balanceDict['A']['position'] -= balanceDict['A']['position']
balanceDict['B']['available'] += balanceDict['B']['position'] * (BNewPrice - BOldOrderPrice + BOldOrderPrice)
balanceDict['B']['position'] -= balanceDict['B']['position']
balanceDict['A']['available'] -= ANewPrice * abs(aPos)
balanceDict['A']['position'] += aPos
balanceDict['B']['available'] -= BNewPrice * abs(bPos)
balanceDict['B']['position'] += -(bPos * aPos)
strategy = {(1,0): upToOut,
(1,-1):upToDown,
(0,1): outToUp,
(0,-1):outToDown,
(-1,0):downToOut,
(-1,1):downToUp,
(0,2): forwardStopLoss,
(0,-2): backwardStopLoss,
(2,1) : forwardStopLossEntry,
(-2,-1) : backwardStopLossEntry,
(1, 2) : forwardEntryToStopLoss,
(-1,-2) : backwardEntryToStopLoss,
(2, 0) : stopLossForward,
(-2, 0) : stopLossBackward,
(-2, 2) : backwardForward,
(2, -2) : forwardBackward,
(2, -1) : forwardBackwardEntry,
(-2, 1) : backwardForwardEntry}
pd.set_option('display.float_format', lambda x: '%.8f' % x)
for i in result_list:
A_symbol, B_symbol = i[0], i[1]
# A_symbol, B_symbol = 'BTCUSDT', 'ETHUSDT'
init = 100000
pastStatus = 0
AOldOrderPrice = None
BOldOrderPrice = None
aEntryPriceList, bEntryPriceList = [], []
lookback = 20
balanceDict = {'A':{'available': 100000, 'position':0}, 'B':{'available': 100000, 'position':0}}
entryZscore = 1.5
exitZscore = 0.5 # take profit
stopLoss = 2
# miniSpread = 0.01
df1 = df[[A_symbol, B_symbol]]
hedgeRatio=np.full(df1.shape[0], 0.0)
df1['ratio'] = df1[A_symbol]/df1[B_symbol]
df1['zscore'] = rolling_apply(z_score, 20, df1['ratio'])
history_original = pd.DataFrame()
statusList = []
pl = []
date, A_available, A_position, B_available, B_position, init, Balance , A_price, B_price= [], [], [], [], [], [], [], [], []
for index, row in df1.iterrows():
# currStatus = 0 if (pastStatus == 1 and row['zscore'] > -exitZscore) or (pastStatus == -1 and row['zscore'] < exitZscore) else 1 if (pastStatus == 1 and row['zscore'] < -exitZscore or row['zscore'] < -entryZscore) and row['zscore'] > -stopLoss else 2 if (pastStatus == 2 and row['zscore'] < -stopLoss or row['zscore'] < -stopLoss) else -1 if (pastStatus == -1 and row['zscore'] > exitZscore or row['zscore'] > entryZscore) and row['zscore'] < stopLoss else -2 if (pastStatus == -2 and row['zscore'] > stopLoss or row['zscore'] > stopLoss) else 0
currStatus = 0 if (pastStatus == 1 and row['zscore'] > -exitZscore) or (pastStatus == -1 and row['zscore'] < exitZscore) else 1 if (pastStatus == 1 and row['zscore'] < -exitZscore or row['zscore'] < -entryZscore) else -1 if (pastStatus == -1 and row['zscore'] > exitZscore or row['zscore'] > entryZscore) else 0
con = (pastStatus, currStatus)
if pastStatus != currStatus:
strategy[con](row[A_symbol], row[B_symbol], currStatus, row['ratio'], )
AOldOrderPrice, BOldOrderPrice = row[A_symbol], row[B_symbol]
aEntryPriceList.append(AOldOrderPrice)
bEntryPriceList.append(BOldOrderPrice)
else:
aEntryPriceList.append(0)
bEntryPriceList.append(0)
pastStatus = currStatus
statusList.append(currStatus)
date.append(index)
A_price.append(row[A_symbol])
B_price.append(row[B_symbol])
A_available.append(balanceDict['A']['available'])
A_position.append(balanceDict['A']['position'])
B_available.append(balanceDict['B']['available'])
B_position.append(balanceDict['B']['position'])
Balance.append(balanceDict['A']['available'] + balanceDict['B']['available'])
# print('date: ', index, 'balanceDict:', balanceDict)
np.set_printoptions(suppress=True)
history_original['date'] = date
history_original['statusList'] = statusList
history_original['{}_available'.format(A_symbol)] = A_available
history_original['{}_position'.format(A_symbol)] = A_position
history_original['{}_price'.format(A_symbol)] = A_price
history_original['{}_available'.format(B_symbol)] = B_available
history_original['{}_position'.format(B_symbol)] = B_position
history_original['{}_price'.format(B_symbol)] = B_price
history_original['init'] = [200000]* history_original.shape[0]
history_original['balance'] = history_original['{}_available'.format(A_symbol)] + (abs(history_original['{}_position'.format(A_symbol)]) * history_original['{}_price'.format(A_symbol)]) + history_original['{}_available'.format(B_symbol)] + (abs(history_original['{}_position'.format(B_symbol)]) * history_original['{}_price'.format(B_symbol)])
history_original['pnl'] = history_original['balance'] - history_original['init']
history_original['return'] = history_original['balance']/200000 -1
# history.to_csv("pair_trade_ratio/{}-{}_ratio.xls".format(A_symbol, B_symbol))
# print(history_original['return'])
print('[pair trade]{}-{} {}%'.format(A_symbol, B_symbol, "{:.8f}".format(history_original['return'].iloc[-1] * 100)))
plt.clf()
plt.figure(figsize=(10,8))
history_original['return'].plot()
plt.show()
# plt.savefig("pair_trade_ratio/{}-{}_ratio".format(A_symbol, B_symbol))
[pair trade]ETHUSDT-BNBUSDT -1.89413472%
<Figure size 432x288 with 0 Axes>
[pair trade]ETHUSDT-FETUSDT -1.32001758%
<Figure size 432x288 with 0 Axes>
[pair trade]ETHUSDT-ATOMUSDT -2.05892800%
<Figure size 432x288 with 0 Axes>
[pair trade]BNBUSDT-ETHUSDT -0.09868959%
<Figure size 432x288 with 0 Axes>
[pair trade]BNBUSDT-ONEUSDT -0.00410045%
<Figure size 432x288 with 0 Axes>
[pair trade]BNBUSDT-TFUELUSDT -0.43039402%
<Figure size 432x288 with 0 Axes>
[pair trade]BNBUSDT-ONGUSDT 0.21462146%
<Figure size 432x288 with 0 Axes>
[pair trade]BNBUSDT-HOTUSDT -0.36575694%
<Figure size 432x288 with 0 Axes>
[pair trade]BNBUSDT-FETUSDT 0.01558287%
<Figure size 432x288 with 0 Axes>
[pair trade]BNBUSDT-CELRUSDT -0.31549009%
<Figure size 432x288 with 0 Axes>
[pair trade]BNBUSDT-ENJUSDT -0.11612864%
<Figure size 432x288 with 0 Axes>
[pair trade]BNBUSDT-MATICUSDT -0.59107760%
<Figure size 432x288 with 0 Axes>
[pair trade]NEOUSDT-TFUELUSDT -0.17269257%
<Figure size 432x288 with 0 Axes>
[pair trade]NEOUSDT-HOTUSDT -0.06145397%
<Figure size 432x288 with 0 Axes>
[pair trade]NEOUSDT-ZILUSDT -0.01586573%
<Figure size 432x288 with 0 Axes>
[pair trade]NEOUSDT-THETAUSDT -0.03065777%
<Figure size 432x288 with 0 Axes>
[pair trade]LTCUSDT-BTCUSDT 0.04398636%
<Figure size 432x288 with 0 Axes>
[pair trade]LTCUSDT-IOTAUSDT -0.02283561%
<Figure size 432x288 with 0 Axes>
[pair trade]LTCUSDT-XLMUSDT 0.06516147%
<Figure size 432x288 with 0 Axes>
[pair trade]LTCUSDT-LINKUSDT 0.03810422%
<Figure size 432x288 with 0 Axes>
[pair trade]LTCUSDT-HOTUSDT -0.18143088%
<Figure size 432x288 with 0 Axes>
[pair trade]LTCUSDT-DASHUSDT 0.06997250%
<Figure size 432x288 with 0 Axes>
[pair trade]LTCUSDT-THETAUSDT -0.23699405%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-XRPUSDT 0.00817640%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-IOTAUSDT 0.00015706%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-TRXUSDT 0.00731067%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-VETUSDT 0.00268519%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-TFUELUSDT -0.01613906%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-ONGUSDT 0.00472283%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-HOTUSDT 0.01327914%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-FETUSDT 0.00674713%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-IOSTUSDT -0.00901119%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-THETAUSDT 0.00013744%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-MITHUSDT 0.00819624%
<Figure size 432x288 with 0 Axes>
[pair trade]ADAUSDT-XRPUSDT -0.00100601%
<Figure size 432x288 with 0 Axes>
[pair trade]ADAUSDT-TRXUSDT -0.00153764%
<Figure size 432x288 with 0 Axes>
[pair trade]ADAUSDT-ETCUSDT -0.00231785%
<Figure size 432x288 with 0 Axes>
[pair trade]ADAUSDT-TFUELUSDT -0.00199424%
<Figure size 432x288 with 0 Axes>
[pair trade]ADAUSDT-WAVESUSDT -0.00037232%
<Figure size 432x288 with 0 Axes>
[pair trade]ADAUSDT-ONGUSDT 0.00184009%
<Figure size 432x288 with 0 Axes>
[pair trade]ADAUSDT-FETUSDT -0.00006647%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-ETHUSDT -0.00030212%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-QTUMUSDT 0.00053424%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-ADAUSDT -0.00120378%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-TRXUSDT 0.00045743%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-ETCUSDT 0.00009292%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-VETUSDT -0.00045585%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-TFUELUSDT -0.00177063%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-WAVESUSDT -0.00005222%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-ONGUSDT 0.00208732%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-HOTUSDT -0.00082711%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-FETUSDT -0.00043622%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-IOSTUSDT -0.00074249%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-CELRUSDT -0.00080094%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-OMGUSDT 0.00000341%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-THETAUSDT -0.00098866%
<Figure size 432x288 with 0 Axes>
[pair trade]EOSUSDT-NEOUSDT -0.00064975%
<Figure size 432x288 with 0 Axes>
[pair trade]EOSUSDT-DASHUSDT 0.00368565%
<Figure size 432x288 with 0 Axes>
[pair trade]EOSUSDT-THETAUSDT -0.00836357%
<Figure size 432x288 with 0 Axes>
[pair trade]EOSUSDT-MITHUSDT 0.00170836%
<Figure size 432x288 with 0 Axes>
[pair trade]ONEUSDT-ETHUSDT -0.00005910%
<Figure size 432x288 with 0 Axes>
[pair trade]ONEUSDT-BNBUSDT -0.00005316%
<Figure size 432x288 with 0 Axes>
[pair trade]ONEUSDT-CELRUSDT 0.00001782%
<Figure size 432x288 with 0 Axes>
[pair trade]ONEUSDT-MATICUSDT -0.00026211%
<Figure size 432x288 with 0 Axes>
[pair trade]ONEUSDT-ATOMUSDT 0.00010780%
<Figure size 432x288 with 0 Axes>
[pair trade]IOTAUSDT-LTCUSDT 0.00055395%
<Figure size 432x288 with 0 Axes>
[pair trade]IOTAUSDT-TFUELUSDT -0.00127804%
<Figure size 432x288 with 0 Axes>
[pair trade]IOTAUSDT-ONGUSDT 0.00147137%
<Figure size 432x288 with 0 Axes>
[pair trade]IOTAUSDT-HOTUSDT -0.00157638%
<Figure size 432x288 with 0 Axes>
[pair trade]IOTAUSDT-XMRUSDT 0.00062687%
<Figure size 432x288 with 0 Axes>
[pair trade]IOTAUSDT-THETAUSDT -0.00114302%
<Figure size 432x288 with 0 Axes>
[pair trade]IOTAUSDT-MITHUSDT 0.00071812%
<Figure size 432x288 with 0 Axes>
[pair trade]XLMUSDT-LTCUSDT 0.00017643%
<Figure size 432x288 with 0 Axes>
[pair trade]XLMUSDT-ICXUSDT 0.00037223%
<Figure size 432x288 with 0 Axes>
[pair trade]XLMUSDT-ZILUSDT 0.00011561%
<Figure size 432x288 with 0 Axes>
[pair trade]XLMUSDT-ZRXUSDT 0.00026557%
<Figure size 432x288 with 0 Axes>
[pair trade]XLMUSDT-XMRUSDT 0.00020374%
<Figure size 432x288 with 0 Axes>
[pair trade]XLMUSDT-IOSTUSDT 0.00008930%
<Figure size 432x288 with 0 Axes>
[pair trade]ONTUSDT-NEOUSDT -0.00018389%
<Figure size 432x288 with 0 Axes>
[pair trade]ONTUSDT-THETAUSDT -0.00104837%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-QTUMUSDT 0.00006574%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-ADAUSDT -0.00011097%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-XRPUSDT 0.00004178%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-ETCUSDT -0.00006178%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-VETUSDT 0.00001282%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-TFUELUSDT -0.00015585%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-WAVESUSDT -0.00001260%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-ONGUSDT 0.00018678%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-HOTUSDT -0.00010258%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-FETUSDT -0.00001109%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-THETAUSDT -0.00005136%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-ENJUSDT -0.00008750%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-BNBUSDT -0.00404024%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-QTUMUSDT -0.03716369%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-ADAUSDT -0.02211752%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-XRPUSDT -0.00704567%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-TRXUSDT -0.01548745%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-VETUSDT -0.03420818%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-TFUELUSDT -0.08357835%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-HOTUSDT -0.03612120%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-FETUSDT 0.01109475%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-IOSTUSDT -0.04145109%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-THETAUSDT -0.04187272%
<Figure size 432x288 with 0 Axes>
[pair trade]ICXUSDT-IOTAUSDT 0.00158615%
<Figure size 432x288 with 0 Axes>
[pair trade]ICXUSDT-XLMUSDT 0.00107762%
<Figure size 432x288 with 0 Axes>
[pair trade]ICXUSDT-VETUSDT -0.00007889%
<Figure size 432x288 with 0 Axes>
[pair trade]ICXUSDT-LINKUSDT 0.00060607%
<Figure size 432x288 with 0 Axes>
[pair trade]ICXUSDT-ZECUSDT 0.00005725%
<Figure size 432x288 with 0 Axes>
[pair trade]ICXUSDT-IOSTUSDT 0.00105407%
<Figure size 432x288 with 0 Axes>
[pair trade]ICXUSDT-DASHUSDT 0.00105907%
<Figure size 432x288 with 0 Axes>
[pair trade]ICXUSDT-MITHUSDT 0.00018418%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-NEOUSDT -0.00094048%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-LTCUSDT -0.00009681%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-IOTAUSDT 0.00010617%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-ONTUSDT 0.00040783%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-ICXUSDT 0.00020092%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-LINKUSDT -0.00038490%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-HOTUSDT -0.00043153%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-ZILUSDT 0.00065946%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-ZRXUSDT 0.00065382%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-ZECUSDT 0.00061966%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-DASHUSDT -0.00001972%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-QTUMUSDT 0.00001879%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-ADAUSDT -0.00010893%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-XRPUSDT 0.00003285%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-TRXUSDT -0.00000382%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-ETCUSDT -0.00005906%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-ICXUSDT -0.00000169%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-TFUELUSDT -0.00014275%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-WAVESUSDT -0.00003469%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-ONGUSDT 0.00003254%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-HOTUSDT 0.00003212%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-FETUSDT 0.00003705%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-IOSTUSDT -0.00002434%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-THETAUSDT 0.00001393%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-BNBUSDT -0.00031125%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-NEOUSDT -0.00028891%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-QTUMUSDT -0.00027560%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-ADAUSDT -0.00024656%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-XRPUSDT -0.00026593%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-IOTAUSDT -0.00023770%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-TRXUSDT -0.00026278%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-ETCUSDT -0.00051261%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-VETUSDT -0.00038631%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-WAVESUSDT -0.00062465%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-ONGUSDT 0.00042625%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-HOTUSDT 0.00005657%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-XMRUSDT -0.00027460%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-IOSTUSDT -0.00036655%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-MITHUSDT -0.00022851%
<Figure size 432x288 with 0 Axes>
[pair trade]LINKUSDT-LTCUSDT 0.00822709%
<Figure size 432x288 with 0 Axes>
[pair trade]LINKUSDT-ICXUSDT 0.00788970%
<Figure size 432x288 with 0 Axes>
[pair trade]LINKUSDT-TFUELUSDT -0.13263210%
<Figure size 432x288 with 0 Axes>
[pair trade]LINKUSDT-ZRXUSDT 0.00909696%
<Figure size 432x288 with 0 Axes>
[pair trade]WAVESUSDT-ADAUSDT -0.00404743%
<Figure size 432x288 with 0 Axes>
[pair trade]WAVESUSDT-XRPUSDT 0.00389300%
<Figure size 432x288 with 0 Axes>
[pair trade]WAVESUSDT-TRXUSDT 0.00390031%
<Figure size 432x288 with 0 Axes>
[pair trade]WAVESUSDT-VETUSDT -0.00230377%
<Figure size 432x288 with 0 Axes>
[pair trade]WAVESUSDT-TFUELUSDT -0.05792390%
<Figure size 432x288 with 0 Axes>
[pair trade]WAVESUSDT-ONGUSDT 0.00915605%
<Figure size 432x288 with 0 Axes>
[pair trade]WAVESUSDT-HOTUSDT -0.02681228%
<Figure size 432x288 with 0 Axes>
[pair trade]WAVESUSDT-FETUSDT -0.00475898%
<Figure size 432x288 with 0 Axes>
[pair trade]WAVESUSDT-OMGUSDT -0.00567703%
<Figure size 432x288 with 0 Axes>
[pair trade]WAVESUSDT-THETAUSDT -0.02343304%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-ETHUSDT 0.00106655%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-BNBUSDT 0.00103222%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-QTUMUSDT 0.00106571%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-ADAUSDT 0.00097384%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-XRPUSDT 0.00142226%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-IOTAUSDT 0.00117714%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-TRXUSDT 0.00133819%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-VETUSDT 0.00083289%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-TFUELUSDT 0.00171659%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-WAVESUSDT 0.00031797%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-HOTUSDT 0.00038020%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-FETUSDT 0.00187369%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-ZECUSDT 0.00044421%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-IOSTUSDT 0.00085608%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-CELRUSDT 0.00101578%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-MITHUSDT 0.00051744%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-BNBUSDT -0.00000642%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-NEOUSDT -0.00000728%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-LTCUSDT -0.00000694%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-QTUMUSDT 0.00000870%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-ADAUSDT -0.00001223%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-XRPUSDT -0.00000381%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-IOTAUSDT -0.00000443%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-TRXUSDT -0.00000832%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-ETCUSDT -0.00002260%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-ICXUSDT -0.00000686%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-VETUSDT 0.00000047%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-TFUELUSDT -0.00000006%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-WAVESUSDT -0.00001130%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-ONGUSDT -0.00000107%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-FETUSDT -0.00000265%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-XMRUSDT -0.00000791%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-ZECUSDT -0.00000192%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-IOSTUSDT -0.00000655%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-CELRUSDT -0.00000200%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-DASHUSDT -0.00000690%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-MITHUSDT 0.00001337%
<Figure size 432x288 with 0 Axes>
[pair trade]ZILUSDT-XLMUSDT 0.00005553%
<Figure size 432x288 with 0 Axes>
[pair trade]ZILUSDT-ZRXUSDT 0.00004556%
<Figure size 432x288 with 0 Axes>
[pair trade]ZILUSDT-DASHUSDT 0.00003781%
<Figure size 432x288 with 0 Axes>
[pair trade]ZRXUSDT-LTCUSDT -0.00014909%
<Figure size 432x288 with 0 Axes>
[pair trade]ZRXUSDT-IOTAUSDT 0.00076525%
<Figure size 432x288 with 0 Axes>
[pair trade]ZRXUSDT-XLMUSDT 0.00086631%
<Figure size 432x288 with 0 Axes>
[pair trade]ZRXUSDT-NULSUSDT 0.00107638%
<Figure size 432x288 with 0 Axes>
[pair trade]ZRXUSDT-LINKUSDT 0.00061561%
<Figure size 432x288 with 0 Axes>
[pair trade]ZRXUSDT-ZILUSDT 0.00002343%
<Figure size 432x288 with 0 Axes>
[pair trade]ZRXUSDT-ZECUSDT 0.00039020%
<Figure size 432x288 with 0 Axes>
[pair trade]ZRXUSDT-DASHUSDT 0.00039707%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-ETHUSDT 0.00008990%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-BNBUSDT -0.00016915%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-QTUMUSDT 0.00030116%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-ADAUSDT -0.00001824%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-XRPUSDT -0.00024604%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-TRXUSDT -0.00008859%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-WAVESUSDT -0.00030187%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-ONGUSDT 0.00116309%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-HOTUSDT 0.00010138%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-IOSTUSDT 0.00060526%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-CELRUSDT 0.00019784%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-OMGUSDT 0.00045089%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-ATOMUSDT 0.00018072%
<Figure size 432x288 with 0 Axes>
[pair trade]BATUSDT-ENJUSDT 0.00073827%
<Figure size 432x288 with 0 Axes>
[pair trade]BATUSDT-ATOMUSDT -0.00020145%
<Figure size 432x288 with 0 Axes>
[pair trade]XMRUSDT-XLMUSDT 0.07684458%
<Figure size 432x288 with 0 Axes>
[pair trade]XMRUSDT-TFUELUSDT -0.67973589%
<Figure size 432x288 with 0 Axes>
[pair trade]XMRUSDT-ONGUSDT 0.13069161%
<Figure size 432x288 with 0 Axes>
[pair trade]XMRUSDT-HOTUSDT -0.43331988%
<Figure size 432x288 with 0 Axes>
[pair trade]XMRUSDT-THETAUSDT -0.12915414%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-BTCUSDT -0.02068921%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-IOTAUSDT 0.14037416%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-TRXUSDT 0.05650364%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-ICXUSDT -0.00930632%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-NULSUSDT 0.19094685%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-VETUSDT 0.03676856%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-TFUELUSDT -0.48769560%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-LINKUSDT 0.09728941%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-ONGUSDT 0.10136207%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-HOTUSDT -0.01933636%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-ZRXUSDT 0.03514919%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-FETUSDT 0.01117356%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-XMRUSDT 0.09680331%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-THETAUSDT -0.12755412%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-ENJUSDT -0.00034495%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-MITHUSDT 0.05131333%
<Figure size 432x288 with 0 Axes>
[pair trade]IOSTUSDT-QTUMUSDT -0.00002554%
<Figure size 432x288 with 0 Axes>
[pair trade]IOSTUSDT-XRPUSDT -0.00001386%
<Figure size 432x288 with 0 Axes>
[pair trade]IOSTUSDT-TRXUSDT -0.00001360%
<Figure size 432x288 with 0 Axes>
[pair trade]IOSTUSDT-ICXUSDT 0.00002750%
<Figure size 432x288 with 0 Axes>
[pair trade]IOSTUSDT-VETUSDT -0.00003112%
<Figure size 432x288 with 0 Axes>
[pair trade]IOSTUSDT-TFUELUSDT -0.00007033%
<Figure size 432x288 with 0 Axes>
[pair trade]IOSTUSDT-ONGUSDT 0.00004092%
<Figure size 432x288 with 0 Axes>
[pair trade]IOSTUSDT-HOTUSDT -0.00006915%
<Figure size 432x288 with 0 Axes>
[pair trade]IOSTUSDT-THETAUSDT -0.00001051%
<Figure size 432x288 with 0 Axes>
[pair trade]CELRUSDT-ETHUSDT -0.00004471%
<Figure size 432x288 with 0 Axes>
[pair trade]CELRUSDT-BNBUSDT -0.00003807%
<Figure size 432x288 with 0 Axes>
[pair trade]CELRUSDT-ADAUSDT -0.00001277%
<Figure size 432x288 with 0 Axes>
[pair trade]CELRUSDT-ONEUSDT -0.00000026%
<Figure size 432x288 with 0 Axes>
[pair trade]CELRUSDT-ONGUSDT 0.00009754%
<Figure size 432x288 with 0 Axes>
[pair trade]CELRUSDT-FETUSDT 0.00003285%
<Figure size 432x288 with 0 Axes>
[pair trade]CELRUSDT-MATICUSDT -0.00018491%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-NEOUSDT 0.05879630%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-LTCUSDT 0.10321596%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-EOSUSDT 0.10251742%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-XLMUSDT 0.13956636%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-ICXUSDT 0.13670654%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-TFUELUSDT -0.55210586%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-LINKUSDT 0.09161500%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-HOTUSDT -0.19252630%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-ZILUSDT -0.04253611%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-ZRXUSDT 0.13227021%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-IOSTUSDT 0.09668613%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-THETAUSDT -0.40182149%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-MITHUSDT -0.27473778%
<Figure size 432x288 with 0 Axes>
[pair trade]OMGUSDT-ADAUSDT -0.00459491%
<Figure size 432x288 with 0 Axes>
[pair trade]OMGUSDT-ONEUSDT -0.01827742%
<Figure size 432x288 with 0 Axes>
[pair trade]OMGUSDT-WAVESUSDT -0.00344053%
<Figure size 432x288 with 0 Axes>
[pair trade]OMGUSDT-ONGUSDT 0.01005926%
<Figure size 432x288 with 0 Axes>
[pair trade]OMGUSDT-FETUSDT 0.00028040%
<Figure size 432x288 with 0 Axes>
[pair trade]OMGUSDT-ATOMUSDT 0.00269354%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-NEOUSDT -0.00258792%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-LTCUSDT -0.00364527%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-IOTAUSDT -0.00289496%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-XLMUSDT -0.00232992%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-TRXUSDT -0.00266427%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-ETCUSDT -0.01731909%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-VETUSDT 0.00165653%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-WAVESUSDT -0.00785921%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-XMRUSDT -0.00094415%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-ZECUSDT -0.00105692%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-IOSTUSDT -0.00445840%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-DASHUSDT -0.00421524%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-MITHUSDT 0.01231656%
<Figure size 432x288 with 0 Axes>
[pair trade]ENJUSDT-BNBUSDT -0.00071848%
<Figure size 432x288 with 0 Axes>
[pair trade]ENJUSDT-TRXUSDT -0.00083102%
<Figure size 432x288 with 0 Axes>
[pair trade]ENJUSDT-BATUSDT 0.00231230%
<Figure size 432x288 with 0 Axes>
[pair trade]ENJUSDT-ATOMUSDT -0.00129620%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-NEOUSDT 0.00003720%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-LTCUSDT 0.00000405%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-QTUMUSDT 0.00007483%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-IOTAUSDT 0.00002080%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-ICXUSDT 0.00001004%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-VETUSDT 0.00003670%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-TFUELUSDT -0.00003856%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-ONGUSDT 0.00003589%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-HOTUSDT 0.00008153%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-BATUSDT 0.00009875%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-ZECUSDT 0.00000641%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-DASHUSDT -0.00002556%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-THETAUSDT 0.00003882%
<Figure size 432x288 with 0 Axes>
[pair trade]MATICUSDT-BNBUSDT -0.00055355%
<Figure size 432x288 with 0 Axes>
[pair trade]MATICUSDT-ONEUSDT -0.00080249%
<Figure size 432x288 with 0 Axes>
[pair trade]MATICUSDT-CELRUSDT -0.00164938%
<Figure size 432x288 with 0 Axes>
[pair trade]ATOMUSDT-ETHUSDT -0.00989348%
<Figure size 432x288 with 0 Axes>
[pair trade]ATOMUSDT-ONEUSDT -0.00755177%
<Figure size 432x288 with 0 Axes>
[pair trade]ATOMUSDT-FETUSDT -0.00045740%
<Figure size 432x288 with 0 Axes>
[pair trade]ATOMUSDT-BATUSDT -0.00209672%
<Figure size 432x288 with 0 Axes>
[pair trade]ATOMUSDT-CELRUSDT 0.00086262%
<Figure size 432x288 with 0 Axes>
[pair trade]ATOMUSDT-ENJUSDT -0.03442433%
<Figure size 432x288 with 0 Axes>
pd.set_option('display.float_format', lambda x: '%.8f' % x)
for i in result_list:
A_symbol, B_symbol = i[0], i[1]
# A_symbol, B_symbol = 'BTCUSDT', 'ETHUSDT'
init = 100000
pastStatus = 0
AOldOrderPrice = None
BOldOrderPrice = None
aEntryPriceList, bEntryPriceList = [], []
lookback = 20
balanceDict = {'A':{'available': 100000, 'position':0}, 'B':{'available': 100000, 'position':0}}
entryZscore = 2
exitZscore = 0 # take profit
stopLoss = 2.5
# miniSpread = 0.01
df1 = df[[A_symbol, B_symbol]]
hedgeRatio=np.full(df1.shape[0], 0.0)
df1['ratio'] = df1[A_symbol]/df1[B_symbol]
df1['zscore'] = rolling_apply(z_score, 20, df1['ratio'])
history = pd.DataFrame()
statusList = []
pl = []
date, A_available, A_position, B_available, B_position, init, Balance , A_price, B_price= [], [], [], [], [], [], [], [], []
for index, row in df1.iterrows():
currStatus = 0 if (pastStatus == 1 and row['zscore'] > -exitZscore) or (pastStatus == -1 and row['zscore'] < exitZscore) else 1 if (pastStatus == 1 and row['zscore'] < -exitZscore or row['zscore'] < -entryZscore) and row['zscore'] > -stopLoss else 2 if (pastStatus == 2 and row['zscore'] < -stopLoss or row['zscore'] < -stopLoss) else -1 if (pastStatus == -1 and row['zscore'] > exitZscore or row['zscore'] > entryZscore) and row['zscore'] < stopLoss else -2 if (pastStatus == -2 and row['zscore'] > stopLoss or row['zscore'] > stopLoss) else 0
# currStatus = 0 if (pastStatus == 1 and row['zscore'] > -exitZscore) or (pastStatus == -1 and row['zscore'] < exitZscore) else 1 if (pastStatus == 1 and row['zscore'] < -exitZscore or row['zscore'] < -entryZscore) else -1 if (pastStatus == -1 and row['zscore'] > exitZscore or row['zscore'] > entryZscore) else 0
con = (pastStatus, currStatus)
if pastStatus != currStatus:
strategy[con](row[A_symbol], row[B_symbol], currStatus, row['ratio'], )
AOldOrderPrice, BOldOrderPrice = row[A_symbol], row[B_symbol]
aEntryPriceList.append(AOldOrderPrice)
bEntryPriceList.append(BOldOrderPrice)
else:
aEntryPriceList.append(0)
bEntryPriceList.append(0)
pastStatus = currStatus
statusList.append(currStatus)
date.append(index)
A_price.append(row[A_symbol])
B_price.append(row[B_symbol])
A_available.append(balanceDict['A']['available'])
A_position.append(balanceDict['A']['position'])
B_available.append(balanceDict['B']['available'])
B_position.append(balanceDict['B']['position'])
Balance.append(balanceDict['A']['available'] + balanceDict['B']['available'])
# print('date: ', index, 'balanceDict:', balanceDict)
np.set_printoptions(suppress=True)
history['date'] = date
history['statusList'] = statusList
history['{}_available'.format(A_symbol)] = A_available
history['{}_position'.format(A_symbol)] = A_position
history['{}_price'.format(A_symbol)] = A_price
history['{}_available'.format(B_symbol)] = B_available
history['{}_position'.format(B_symbol)] = B_position
history['{}_price'.format(B_symbol)] = B_price
history['init'] = [200000]* history.shape[0]
history['balance'] = history['{}_available'.format(A_symbol)] + (abs(history['{}_position'.format(A_symbol)]) * history['{}_price'.format(A_symbol)]) + history['{}_available'.format(B_symbol)] + (abs(history['{}_position'.format(B_symbol)]) * history['{}_price'.format(B_symbol)])
history['pnl'] = history['balance'] - history['init']
history['return'] = history['balance']/200000 -1
# history.to_csv("pair_trade_ratio/{}-{}_ratio.xls".format(A_symbol, B_symbol))
# print(history['return'])
print('[pair trade]{}-{} {}%'.format(A_symbol, B_symbol, "{:.8f}".format(history['return'].iloc[-1] * 100)))
plt.clf()
plt.figure(figsize=(10,8))
history['return'].plot()
plt.show()
# plt.savefig("pair_trade_ratio/{}-{}_ratio".format(A_symbol, B_symbol))
[pair trade]ETHUSDT-BNBUSDT -1.30291139%
<Figure size 432x288 with 0 Axes>
[pair trade]ETHUSDT-FETUSDT 0.02038704%
<Figure size 432x288 with 0 Axes>
[pair trade]ETHUSDT-ATOMUSDT -0.15863342%
<Figure size 432x288 with 0 Axes>
[pair trade]BNBUSDT-ETHUSDT -0.15575595%
<Figure size 432x288 with 0 Axes>
[pair trade]BNBUSDT-ONEUSDT 0.06912079%
<Figure size 432x288 with 0 Axes>
[pair trade]BNBUSDT-TFUELUSDT -0.17761101%
<Figure size 432x288 with 0 Axes>
[pair trade]BNBUSDT-ONGUSDT 0.10171278%
<Figure size 432x288 with 0 Axes>
[pair trade]BNBUSDT-HOTUSDT -0.29169780%
<Figure size 432x288 with 0 Axes>
[pair trade]BNBUSDT-FETUSDT -0.07285731%
<Figure size 432x288 with 0 Axes>
[pair trade]BNBUSDT-CELRUSDT -0.25835795%
<Figure size 432x288 with 0 Axes>
[pair trade]BNBUSDT-ENJUSDT -0.02896591%
<Figure size 432x288 with 0 Axes>
[pair trade]BNBUSDT-MATICUSDT -0.51612592%
<Figure size 432x288 with 0 Axes>
[pair trade]NEOUSDT-TFUELUSDT -0.12374276%
<Figure size 432x288 with 0 Axes>
[pair trade]NEOUSDT-HOTUSDT -0.05440766%
<Figure size 432x288 with 0 Axes>
[pair trade]NEOUSDT-ZILUSDT -0.03404916%
<Figure size 432x288 with 0 Axes>
[pair trade]NEOUSDT-THETAUSDT -0.03294100%
<Figure size 432x288 with 0 Axes>
[pair trade]LTCUSDT-BTCUSDT -0.00671030%
<Figure size 432x288 with 0 Axes>
[pair trade]LTCUSDT-IOTAUSDT -0.00986015%
<Figure size 432x288 with 0 Axes>
[pair trade]LTCUSDT-XLMUSDT 0.14991642%
<Figure size 432x288 with 0 Axes>
[pair trade]LTCUSDT-LINKUSDT 0.00867058%
<Figure size 432x288 with 0 Axes>
[pair trade]LTCUSDT-HOTUSDT -0.12041830%
<Figure size 432x288 with 0 Axes>
[pair trade]LTCUSDT-DASHUSDT 0.06040128%
<Figure size 432x288 with 0 Axes>
[pair trade]LTCUSDT-THETAUSDT -0.20616162%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-XRPUSDT 0.01125700%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-IOTAUSDT -0.00245414%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-TRXUSDT 0.00629250%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-VETUSDT 0.00149165%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-TFUELUSDT 0.00091987%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-ONGUSDT 0.00509693%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-HOTUSDT 0.00285220%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-FETUSDT 0.01378376%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-IOSTUSDT -0.00065149%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-THETAUSDT 0.00037283%
<Figure size 432x288 with 0 Axes>
[pair trade]QTUMUSDT-MITHUSDT 0.00057807%
<Figure size 432x288 with 0 Axes>
[pair trade]ADAUSDT-XRPUSDT -0.00047515%
<Figure size 432x288 with 0 Axes>
[pair trade]ADAUSDT-TRXUSDT -0.00044162%
<Figure size 432x288 with 0 Axes>
[pair trade]ADAUSDT-ETCUSDT -0.00083536%
<Figure size 432x288 with 0 Axes>
[pair trade]ADAUSDT-TFUELUSDT -0.00146072%
<Figure size 432x288 with 0 Axes>
[pair trade]ADAUSDT-WAVESUSDT -0.00024574%
<Figure size 432x288 with 0 Axes>
[pair trade]ADAUSDT-ONGUSDT 0.00351688%
<Figure size 432x288 with 0 Axes>
[pair trade]ADAUSDT-FETUSDT 0.00001900%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-ETHUSDT -0.00016000%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-QTUMUSDT 0.00076437%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-ADAUSDT -0.00046091%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-TRXUSDT 0.00018064%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-ETCUSDT 0.00053411%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-VETUSDT 0.00046764%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-TFUELUSDT -0.00086379%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-WAVESUSDT 0.00063646%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-ONGUSDT -0.00030743%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-HOTUSDT -0.00053095%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-FETUSDT -0.00028224%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-IOSTUSDT 0.00004086%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-CELRUSDT -0.00077149%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-OMGUSDT -0.00024199%
<Figure size 432x288 with 0 Axes>
[pair trade]XRPUSDT-THETAUSDT -0.00048258%
<Figure size 432x288 with 0 Axes>
[pair trade]EOSUSDT-NEOUSDT -0.00273276%
<Figure size 432x288 with 0 Axes>
[pair trade]EOSUSDT-DASHUSDT 0.00071268%
<Figure size 432x288 with 0 Axes>
[pair trade]EOSUSDT-THETAUSDT -0.00674348%
<Figure size 432x288 with 0 Axes>
[pair trade]EOSUSDT-MITHUSDT -0.00604619%
<Figure size 432x288 with 0 Axes>
[pair trade]ONEUSDT-ETHUSDT 0.00000298%
<Figure size 432x288 with 0 Axes>
[pair trade]ONEUSDT-BNBUSDT -0.00000117%
<Figure size 432x288 with 0 Axes>
[pair trade]ONEUSDT-CELRUSDT 0.00001607%
<Figure size 432x288 with 0 Axes>
[pair trade]ONEUSDT-MATICUSDT -0.00014389%
<Figure size 432x288 with 0 Axes>
[pair trade]ONEUSDT-ATOMUSDT -0.00007382%
<Figure size 432x288 with 0 Axes>
[pair trade]IOTAUSDT-LTCUSDT 0.00024285%
<Figure size 432x288 with 0 Axes>
[pair trade]IOTAUSDT-TFUELUSDT -0.00083835%
<Figure size 432x288 with 0 Axes>
[pair trade]IOTAUSDT-ONGUSDT 0.00104107%
<Figure size 432x288 with 0 Axes>
[pair trade]IOTAUSDT-HOTUSDT -0.00037119%
<Figure size 432x288 with 0 Axes>
[pair trade]IOTAUSDT-XMRUSDT 0.00061639%
<Figure size 432x288 with 0 Axes>
[pair trade]IOTAUSDT-THETAUSDT -0.00054751%
<Figure size 432x288 with 0 Axes>
[pair trade]IOTAUSDT-MITHUSDT -0.00202182%
<Figure size 432x288 with 0 Axes>
[pair trade]XLMUSDT-LTCUSDT 0.00023378%
<Figure size 432x288 with 0 Axes>
[pair trade]XLMUSDT-ICXUSDT 0.00031205%
<Figure size 432x288 with 0 Axes>
[pair trade]XLMUSDT-ZILUSDT -0.00005825%
<Figure size 432x288 with 0 Axes>
[pair trade]XLMUSDT-ZRXUSDT 0.00012665%
<Figure size 432x288 with 0 Axes>
[pair trade]XLMUSDT-XMRUSDT 0.00007253%
<Figure size 432x288 with 0 Axes>
[pair trade]XLMUSDT-IOSTUSDT 0.00000235%
<Figure size 432x288 with 0 Axes>
[pair trade]ONTUSDT-NEOUSDT 0.00014460%
<Figure size 432x288 with 0 Axes>
[pair trade]ONTUSDT-THETAUSDT -0.00083152%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-QTUMUSDT 0.00003392%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-ADAUSDT -0.00008571%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-XRPUSDT -0.00001664%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-ETCUSDT 0.00000893%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-VETUSDT -0.00000331%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-TFUELUSDT -0.00015170%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-WAVESUSDT 0.00002376%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-ONGUSDT 0.00010036%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-HOTUSDT 0.00001402%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-FETUSDT -0.00001830%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-THETAUSDT -0.00005227%
<Figure size 432x288 with 0 Axes>
[pair trade]TRXUSDT-ENJUSDT -0.00002397%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-BNBUSDT -0.02307525%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-QTUMUSDT -0.01208847%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-ADAUSDT 0.00116147%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-XRPUSDT 0.02869630%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-TRXUSDT -0.02509264%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-VETUSDT -0.01748056%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-TFUELUSDT -0.05922812%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-HOTUSDT -0.03569458%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-FETUSDT -0.01690488%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-IOSTUSDT -0.04361937%
<Figure size 432x288 with 0 Axes>
[pair trade]ETCUSDT-THETAUSDT -0.03614256%
<Figure size 432x288 with 0 Axes>
[pair trade]ICXUSDT-IOTAUSDT 0.00025949%
<Figure size 432x288 with 0 Axes>
[pair trade]ICXUSDT-XLMUSDT 0.00041534%
<Figure size 432x288 with 0 Axes>
[pair trade]ICXUSDT-VETUSDT 0.00012842%
<Figure size 432x288 with 0 Axes>
[pair trade]ICXUSDT-LINKUSDT 0.00067677%
<Figure size 432x288 with 0 Axes>
[pair trade]ICXUSDT-ZECUSDT 0.00052884%
<Figure size 432x288 with 0 Axes>
[pair trade]ICXUSDT-IOSTUSDT 0.00112205%
<Figure size 432x288 with 0 Axes>
[pair trade]ICXUSDT-DASHUSDT 0.00107671%
<Figure size 432x288 with 0 Axes>
[pair trade]ICXUSDT-MITHUSDT -0.00047352%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-NEOUSDT -0.00082252%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-LTCUSDT -0.00020989%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-IOTAUSDT -0.00002675%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-ONTUSDT -0.00006487%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-ICXUSDT 0.00056866%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-LINKUSDT -0.00056512%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-HOTUSDT 0.00029037%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-ZILUSDT 0.00050066%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-ZRXUSDT -0.00016388%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-ZECUSDT 0.00003494%
<Figure size 432x288 with 0 Axes>
[pair trade]NULSUSDT-DASHUSDT -0.00007430%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-QTUMUSDT -0.00002429%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-ADAUSDT -0.00009394%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-XRPUSDT 0.00002265%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-TRXUSDT 0.00000248%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-ETCUSDT -0.00008002%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-ICXUSDT -0.00004371%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-TFUELUSDT -0.00013582%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-WAVESUSDT 0.00003071%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-ONGUSDT -0.00006518%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-HOTUSDT 0.00005834%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-FETUSDT 0.00004767%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-IOSTUSDT -0.00002960%
<Figure size 432x288 with 0 Axes>
[pair trade]VETUSDT-THETAUSDT -0.00003866%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-BNBUSDT -0.00013839%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-NEOUSDT -0.00034843%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-QTUMUSDT -0.00018825%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-ADAUSDT -0.00013404%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-XRPUSDT -0.00020847%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-IOTAUSDT -0.00018444%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-TRXUSDT -0.00027563%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-ETCUSDT -0.00061523%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-VETUSDT -0.00018127%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-WAVESUSDT -0.00033586%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-ONGUSDT 0.00005988%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-HOTUSDT -0.00016616%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-XMRUSDT -0.00016351%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-IOSTUSDT -0.00030804%
<Figure size 432x288 with 0 Axes>
[pair trade]TFUELUSDT-MITHUSDT -0.00037925%
<Figure size 432x288 with 0 Axes>
[pair trade]LINKUSDT-LTCUSDT 0.01022505%
<Figure size 432x288 with 0 Axes>
[pair trade]LINKUSDT-ICXUSDT 0.00330696%
<Figure size 432x288 with 0 Axes>
[pair trade]LINKUSDT-TFUELUSDT -0.12662805%
<Figure size 432x288 with 0 Axes>
[pair trade]LINKUSDT-ZRXUSDT 0.02451231%
<Figure size 432x288 with 0 Axes>
[pair trade]WAVESUSDT-ADAUSDT -0.01092858%
<Figure size 432x288 with 0 Axes>
[pair trade]WAVESUSDT-XRPUSDT 0.00647660%
<Figure size 432x288 with 0 Axes>
[pair trade]WAVESUSDT-TRXUSDT 0.00188142%
<Figure size 432x288 with 0 Axes>
[pair trade]WAVESUSDT-VETUSDT -0.00340557%
<Figure size 432x288 with 0 Axes>
[pair trade]WAVESUSDT-TFUELUSDT -0.04053269%
<Figure size 432x288 with 0 Axes>
[pair trade]WAVESUSDT-ONGUSDT 0.00690025%
<Figure size 432x288 with 0 Axes>
[pair trade]WAVESUSDT-HOTUSDT -0.01485681%
<Figure size 432x288 with 0 Axes>
[pair trade]WAVESUSDT-FETUSDT -0.01324169%
<Figure size 432x288 with 0 Axes>
[pair trade]WAVESUSDT-OMGUSDT -0.00395140%
<Figure size 432x288 with 0 Axes>
[pair trade]WAVESUSDT-THETAUSDT -0.00372250%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-ETHUSDT 0.00064368%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-BNBUSDT -0.00013638%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-QTUMUSDT 0.00048256%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-ADAUSDT 0.00087503%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-XRPUSDT 0.00099132%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-IOTAUSDT 0.00056866%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-TRXUSDT 0.00136662%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-VETUSDT 0.00048465%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-TFUELUSDT -0.00006021%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-WAVESUSDT 0.00100410%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-HOTUSDT -0.00027978%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-FETUSDT 0.00075494%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-ZECUSDT -0.00013007%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-IOSTUSDT -0.00025861%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-CELRUSDT 0.00122582%
<Figure size 432x288 with 0 Axes>
[pair trade]ONGUSDT-MITHUSDT -0.00077035%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-BNBUSDT 0.00000257%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-NEOUSDT 0.00000196%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-LTCUSDT -0.00000159%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-QTUMUSDT 0.00000941%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-ADAUSDT -0.00000618%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-XRPUSDT 0.00000896%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-IOTAUSDT -0.00000030%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-TRXUSDT -0.00000124%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-ETCUSDT 0.00000432%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-ICXUSDT 0.00000272%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-VETUSDT 0.00000400%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-TFUELUSDT -0.00000092%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-WAVESUSDT -0.00000409%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-ONGUSDT 0.00000026%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-FETUSDT -0.00000092%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-XMRUSDT -0.00000572%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-ZECUSDT -0.00000053%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-IOSTUSDT -0.00000219%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-CELRUSDT -0.00000718%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-DASHUSDT 0.00000037%
<Figure size 432x288 with 0 Axes>
[pair trade]HOTUSDT-MITHUSDT 0.00000868%
<Figure size 432x288 with 0 Axes>
[pair trade]ZILUSDT-XLMUSDT 0.00001336%
<Figure size 432x288 with 0 Axes>
[pair trade]ZILUSDT-ZRXUSDT 0.00003579%
<Figure size 432x288 with 0 Axes>
[pair trade]ZILUSDT-DASHUSDT 0.00003779%
<Figure size 432x288 with 0 Axes>
[pair trade]ZRXUSDT-LTCUSDT 0.00094036%
<Figure size 432x288 with 0 Axes>
[pair trade]ZRXUSDT-IOTAUSDT 0.00046783%
<Figure size 432x288 with 0 Axes>
[pair trade]ZRXUSDT-XLMUSDT 0.00065580%
<Figure size 432x288 with 0 Axes>
[pair trade]ZRXUSDT-NULSUSDT 0.00063356%
<Figure size 432x288 with 0 Axes>
[pair trade]ZRXUSDT-LINKUSDT 0.00119025%
<Figure size 432x288 with 0 Axes>
[pair trade]ZRXUSDT-ZILUSDT 0.00015079%
<Figure size 432x288 with 0 Axes>
[pair trade]ZRXUSDT-ZECUSDT 0.00103225%
<Figure size 432x288 with 0 Axes>
[pair trade]ZRXUSDT-DASHUSDT 0.00139279%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-ETHUSDT -0.00022088%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-BNBUSDT 0.00007357%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-QTUMUSDT 0.00014036%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-ADAUSDT -0.00005918%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-XRPUSDT -0.00025025%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-TRXUSDT -0.00016696%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-WAVESUSDT -0.00030782%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-ONGUSDT 0.00124046%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-HOTUSDT 0.00037282%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-IOSTUSDT 0.00031680%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-CELRUSDT 0.00016064%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-OMGUSDT -0.00000299%
<Figure size 432x288 with 0 Axes>
[pair trade]FETUSDT-ATOMUSDT 0.00000021%
<Figure size 432x288 with 0 Axes>
[pair trade]BATUSDT-ENJUSDT 0.00037172%
<Figure size 432x288 with 0 Axes>
[pair trade]BATUSDT-ATOMUSDT 0.00019675%
<Figure size 432x288 with 0 Axes>
[pair trade]XMRUSDT-XLMUSDT 0.09756121%
<Figure size 432x288 with 0 Axes>
[pair trade]XMRUSDT-TFUELUSDT -0.57479311%
<Figure size 432x288 with 0 Axes>
[pair trade]XMRUSDT-ONGUSDT 0.05911367%
<Figure size 432x288 with 0 Axes>
[pair trade]XMRUSDT-HOTUSDT -0.25097303%
<Figure size 432x288 with 0 Axes>
[pair trade]XMRUSDT-THETAUSDT -0.37201562%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-BTCUSDT -0.07453806%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-IOTAUSDT 0.07480979%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-TRXUSDT 0.03671898%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-ICXUSDT -0.06471850%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-NULSUSDT 0.14586366%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-VETUSDT 0.01217381%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-TFUELUSDT -0.35876200%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-LINKUSDT 0.04280527%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-ONGUSDT -0.00120987%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-HOTUSDT 0.04856329%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-ZRXUSDT 0.12241528%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-FETUSDT -0.00111068%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-XMRUSDT -0.02034880%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-THETAUSDT -0.09076584%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-ENJUSDT -0.07585770%
<Figure size 432x288 with 0 Axes>
[pair trade]ZECUSDT-MITHUSDT 0.02533206%
<Figure size 432x288 with 0 Axes>
[pair trade]IOSTUSDT-QTUMUSDT -0.00002052%
<Figure size 432x288 with 0 Axes>
[pair trade]IOSTUSDT-XRPUSDT -0.00000071%
<Figure size 432x288 with 0 Axes>
[pair trade]IOSTUSDT-TRXUSDT -0.00001044%
<Figure size 432x288 with 0 Axes>
[pair trade]IOSTUSDT-ICXUSDT 0.00001869%
<Figure size 432x288 with 0 Axes>
[pair trade]IOSTUSDT-VETUSDT -0.00000888%
<Figure size 432x288 with 0 Axes>
[pair trade]IOSTUSDT-TFUELUSDT -0.00008036%
<Figure size 432x288 with 0 Axes>
[pair trade]IOSTUSDT-ONGUSDT -0.00004472%
<Figure size 432x288 with 0 Axes>
[pair trade]IOSTUSDT-HOTUSDT -0.00003888%
<Figure size 432x288 with 0 Axes>
[pair trade]IOSTUSDT-THETAUSDT -0.00001589%
<Figure size 432x288 with 0 Axes>
[pair trade]CELRUSDT-ETHUSDT -0.00002873%
<Figure size 432x288 with 0 Axes>
[pair trade]CELRUSDT-BNBUSDT -0.00004515%
<Figure size 432x288 with 0 Axes>
[pair trade]CELRUSDT-ADAUSDT -0.00003799%
<Figure size 432x288 with 0 Axes>
[pair trade]CELRUSDT-ONEUSDT 0.00003680%
<Figure size 432x288 with 0 Axes>
[pair trade]CELRUSDT-ONGUSDT -0.00002340%
<Figure size 432x288 with 0 Axes>
[pair trade]CELRUSDT-FETUSDT -0.00001489%
<Figure size 432x288 with 0 Axes>
[pair trade]CELRUSDT-MATICUSDT -0.00012332%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-NEOUSDT 0.08463278%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-LTCUSDT 0.07291470%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-EOSUSDT -0.01807495%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-XLMUSDT 0.08786473%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-ICXUSDT 0.15450935%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-TFUELUSDT -0.13044468%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-LINKUSDT -0.02624377%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-HOTUSDT -0.02020899%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-ZILUSDT -0.03522921%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-ZRXUSDT 0.18421056%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-IOSTUSDT -0.04366395%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-THETAUSDT -0.28821243%
<Figure size 432x288 with 0 Axes>
[pair trade]DASHUSDT-MITHUSDT -0.09967568%
<Figure size 432x288 with 0 Axes>
[pair trade]OMGUSDT-ADAUSDT -0.01084155%
<Figure size 432x288 with 0 Axes>
[pair trade]OMGUSDT-ONEUSDT -0.01451887%
<Figure size 432x288 with 0 Axes>
[pair trade]OMGUSDT-WAVESUSDT 0.00069832%
<Figure size 432x288 with 0 Axes>
[pair trade]OMGUSDT-ONGUSDT 0.00505841%
<Figure size 432x288 with 0 Axes>
[pair trade]OMGUSDT-FETUSDT -0.00869399%
<Figure size 432x288 with 0 Axes>
[pair trade]OMGUSDT-ATOMUSDT 0.00230485%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-NEOUSDT 0.00216186%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-LTCUSDT 0.00091727%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-IOTAUSDT -0.00406004%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-XLMUSDT 0.00286354%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-TRXUSDT 0.00066611%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-ETCUSDT 0.00019139%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-VETUSDT 0.00109595%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-WAVESUSDT -0.00308724%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-XMRUSDT -0.00125283%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-ZECUSDT -0.00264057%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-IOSTUSDT 0.00033634%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-DASHUSDT -0.00614556%
<Figure size 432x288 with 0 Axes>
[pair trade]THETAUSDT-MITHUSDT 0.00296187%
<Figure size 432x288 with 0 Axes>
[pair trade]ENJUSDT-BNBUSDT -0.00010022%
<Figure size 432x288 with 0 Axes>
[pair trade]ENJUSDT-TRXUSDT -0.00111093%
<Figure size 432x288 with 0 Axes>
[pair trade]ENJUSDT-BATUSDT 0.00121599%
<Figure size 432x288 with 0 Axes>
[pair trade]ENJUSDT-ATOMUSDT -0.00204905%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-NEOUSDT 0.00002996%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-LTCUSDT 0.00003663%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-QTUMUSDT 0.00001595%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-IOTAUSDT 0.00000962%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-ICXUSDT 0.00000164%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-VETUSDT 0.00006271%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-TFUELUSDT -0.00005208%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-ONGUSDT -0.00002861%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-HOTUSDT -0.00001078%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-BATUSDT 0.00005673%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-ZECUSDT -0.00003165%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-DASHUSDT -0.00005189%
<Figure size 432x288 with 0 Axes>
[pair trade]MITHUSDT-THETAUSDT 0.00001108%
<Figure size 432x288 with 0 Axes>
[pair trade]MATICUSDT-BNBUSDT -0.00126449%
<Figure size 432x288 with 0 Axes>
[pair trade]MATICUSDT-ONEUSDT -0.00045308%
<Figure size 432x288 with 0 Axes>
[pair trade]MATICUSDT-CELRUSDT -0.00116849%
<Figure size 432x288 with 0 Axes>
[pair trade]ATOMUSDT-ETHUSDT -0.00300041%
<Figure size 432x288 with 0 Axes>
[pair trade]ATOMUSDT-ONEUSDT -0.01571531%
<Figure size 432x288 with 0 Axes>
[pair trade]ATOMUSDT-FETUSDT 0.00149636%
<Figure size 432x288 with 0 Axes>
[pair trade]ATOMUSDT-BATUSDT -0.00068333%
<Figure size 432x288 with 0 Axes>
[pair trade]ATOMUSDT-CELRUSDT 0.00898891%
<Figure size 432x288 with 0 Axes>
[pair trade]ATOMUSDT-ENJUSDT -0.02421245%
<Figure size 432x288 with 0 Axes>
history.to_csv('stop.xls')